VEA Options History — October 2023

In October 2023, VEA traded between $41.50 and $44.08. ATM implied volatility averaged 17.0%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 2.8% (HV 20d: 14.2%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.31.

Notable Days

  • 2023-10-20: Highest Volume — 1,139 contracts
  • 2023-10-03: Largest IV spike — 22.7% change
  • 2023-10-27: Highest IV Rank — 39.5%
  • 2023-10-27: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.80$41.50$44.08$43.02$42.22
Max Pain$43.64$43.00$45.00$45.00$43.00
ATM IV17.0%15.0%19.3%15.6%17.1%
Expected Move4.9%4.3%5.5%4.5%4.9%
HV 20d14.2%12.5%15.2%12.5%13.9%
HV 60d12.8%12.1%13.2%12.9%12.9%
IV Rank29.5%20.6%39.5%23.3%29.7%
IV Percentile62.9%43.3%82.1%49.6%65.5%
Term Structure0.2%-0.9%0.9%0.9%-0.2%
VWIV15.2%13.2%17.3%16.1%14.3%
Skew 25d4.6%3.5%6.0%3.7%5.5%
Skew 10d8.6%3.4%12.6%3.4%12.6%
Call IV 25d14.6%12.7%16.9%13.8%12.7%
Put IV 25d19.2%17.5%21.4%17.5%18.2%
Bid-Ask Spread %25.4511.1057.5348.1420.64
Gamma HHI0.170.140.230.190.15
Net GEX-93.3K-209.7K65.8K-155.7K41.4K
Net DEX2.3M-51.3K4.7M3.5M1.2M
Net VEX-25.1K-28.7K-19.9K-28.7K-27.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.011.010.760.04
Total Volume212.636401,13958779
Total OI6,647.7736,4216,9936,6826,993

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-10-02$43.02$45.0015.6%4.5%12.5%23.3%16.1%3.7%0.9%-155.7K3.5M-28.7K0.7648.14N/AN/A33254,1642,518
2023-10-03$42.47$44.0019.2%5.5%12.9%39.1%16.1%6.0%-0.3%-209.7K4.7M-24.4K0.7449.91N/AN/A62464,1482,504
2023-10-04$42.55$44.0015.8%4.5%13.0%24.0%13.2%5.1%0.2%-174.9K3.6M-22.8K0.5055.44N/AN/A50254,1842,237
2023-10-05$42.92$44.0016.1%4.7%13.7%25.5%13.9%4.8%0.8%-156.3K3.0M-24.1K0.1318.65N/AN/A119154,1992,230
2023-10-06$43.39$44.0016.1%4.6%14.5%25.3%13.5%4.6%0.9%-123.0K2.0M-25.4K0.0328.31N/AN/A6324,2202,245
2023-10-09$43.31$44.0017.5%4.8%13.7%31.8%14.2%5.0%0.7%-100.8K2.0M-25.0K0.0113.53N/AN/A14614,2802,245
2023-10-10$43.91$44.0015.4%4.4%14.8%22.3%13.2%4.5%0.3%-10.7K699.1K-26.6K0.0115.22N/AN/A9714,2962,245
2023-10-11$44.08$44.0015.6%4.5%14.9%23.3%14.8%4.3%0.3%65.8K-51.3K-27.6K0.0814.44N/AN/A134114,3512,245
2023-10-12$43.67$44.0015.0%4.3%14.0%20.6%14.4%4.0%0.2%-55.0K793.6K-26.9K1.0134.71N/AN/A68694,4102,254
2023-10-13$43.27$44.0017.1%4.9%14.2%29.8%15.7%4.6%0.5%-74.1K1.9M-25.0K0.0230.49N/AN/A9624,4322,271
2023-10-16$43.63$44.0015.4%4.4%14.4%22.5%14.9%4.2%0.5%-45.8K956.2K-26.0K0.2117.52N/AN/A3374,4442,273
2023-10-17$43.59$44.0015.4%4.4%14.4%22.3%17.1%4.1%0.4%-94.9K1.2M-24.2K0.2521.43N/AN/A59154,4752,279
2023-10-18$42.89$44.0017.1%4.9%15.2%30.0%15.9%4.9%0.1%-125.1K2.9M-21.8K0.1816.83N/AN/A224404,4702,294
2023-10-19$42.50$43.0018.8%5.4%14.7%37.3%16.3%3.9%0.1%-85.1K2.5M-21.0K0.2413.91N/AN/A51124,4542,053
2023-10-20$42.19$43.0018.5%5.3%14.8%36.1%16.3%4.4%-0.3%-134.0K2.9M-19.9K0.8115.65N/AN/A6295104,4432,055
2023-10-23$42.20$43.0018.4%5.3%14.8%35.6%15.8%4.4%0.1%-140.4K3.1M-27.1K0.1314.17N/AN/A186253,9992,493
2023-10-24$42.39$43.0017.8%5.1%14.3%33.2%14.9%5.2%-0.1%-105.5K2.8M-27.7K0.8814.82N/AN/A2231974,1182,502
2023-10-25$42.02$43.0017.6%5.1%14.6%32.3%14.6%4.2%0.1%-69.2K2.9M-26.8K0.2432.84N/AN/A63154,4722,384
2023-10-26$41.69$43.0017.7%5.1%14.2%32.7%17.3%4.6%-0.2%-111.8K3.2M-24.4K0.4514.54N/AN/A31144,4662,299
2023-10-27$41.50$43.0019.3%5.5%14.2%39.5%17.0%3.5%-0.1%-121.2K3.5M-23.7K0.0457.53N/AN/A17074,4632,304
2023-10-30$42.14$43.0017.8%5.1%14.6%33.1%15.1%5.9%-0.9%-66.0K2.4M-25.2K0.0311.10N/AN/A31584,5222,318
2023-10-31$42.22$43.0017.1%4.9%13.9%29.7%14.3%5.5%-0.2%41.4K1.2M-27.3K0.0420.64N/AN/A752274,8302,163